Application of Moore-Penrose inverse in deciding the minimal martingale measure

DOI10.1007/s10255-010-0030-1zbMath1213.91176OpenAlexW1977422463MaRDI QIDQ601957

Xiang-Qun Yang, Gang Yang, Luo Gen Yao

Publication date: 29 October 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-010-0030-1

zbMATH Keywords

Moore-Penrose inversesemi-martingalesminimal martingale measurestructure condition

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic integrals (60H05)

Cites Work

• The variance-optimal martingale measure for continuous processes
• Approximation pricing and the variance-optimal martingale measure
• A minimality property of the minimal martingale measure
• On correlation calculus for multivariate martingales
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• On the minimal martingale measure and the möllmer-schweizer decomposition
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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